Delta-gamma-theta Hedging of Crude Oil Asian Options

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F15%3A00084081" target="_blank" >RIV/00216224:14560/15:00084081 - isvavai.cz</a>

Výsledek na webu

<a href="http://dx.doi.org/10.11118/actaun201563061897" target="_blank" >http://dx.doi.org/10.11118/actaun201563061897</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.11118/actaun201563061897" target="_blank" >10.11118/actaun201563061897</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Delta-gamma-theta Hedging of Crude Oil Asian Options

Popis výsledku v původním jazyce

Since Black-Scholes formula was derived, many methods have been suggested for vanilla as well as exotic options pricing. More of investing and hedging strategies have been developed based on these pricing models. Goal of this paper is to derive delta-gamma-theta hedging strategy for Asian options and compere its efficiency with gamma-delta-theta hedging combined with predictive model. Fixed strike Asian options are type of exotic options, whose special feature is that payoff is calculated from the difference of average market price and strike price for call options and vice versa for the put options. Methods of stochastic analysis are used to determine deltas, gammas and thetas of Asian options. Asian options are cheaper than vanilla options and therefore they are more suitable for precise portfolio creation. On the other hand their deltas are also smaller as well as profits. That means that they are also less risky and more suitable for hedging.

Název v anglickém jazyce

Delta-gamma-theta Hedging of Crude Oil Asian Options

Popis výsledku anglicky

Since Black-Scholes formula was derived, many methods have been suggested for vanilla as well as exotic options pricing. More of investing and hedging strategies have been developed based on these pricing models. Goal of this paper is to derive delta-gamma-theta hedging strategy for Asian options and compere its efficiency with gamma-delta-theta hedging combined with predictive model. Fixed strike Asian options are type of exotic options, whose special feature is that payoff is calculated from the difference of average market price and strike price for call options and vice versa for the put options. Methods of stochastic analysis are used to determine deltas, gammas and thetas of Asian options. Asian options are cheaper than vanilla options and therefore they are more suitable for precise portfolio creation. On the other hand their deltas are also smaller as well as profits. That means that they are also less risky and more suitable for hedging.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AE - Řízení, správa a administrativa

OECD FORD obor

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Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2015

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis

ISSN

1211-8516

e-ISSN

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Svazek periodika

63

Číslo periodika v rámci svazku

6

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

7

Strana od-do

1897-1903

Kód UT WoS článku

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EID výsledku v databázi Scopus

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